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Lecture: Uncertainty Quantification 2 (Summer Term 18)


Prof. Dr. Vincent Heuveline

Schedule: Tuesday and Thursday 16:00-18:00 

Location: Mathematikon, INF 205, SR C

SWS: Lecture 4 SWS, Exercises 2 SWS

CP: 8

Language: English

Moodle: TBA

Muesli: TBA


Uncertainty quantification (UQ) in the context of partial differential equations (PDEs):

  1. Measures of information and uncertainty
  2. Sensitivity analysis
  3. Filtering and data assimilation
  4. Orthogonal polynomials and applications
  5. Collocation methods
  6. Spectral expensions
  7. Bayesian inverse problem
  8. Non intrusive methods

Recommended literature:

  • O.P. Le Maitre an Knio: Spectral methods for uncertainty quantification: with applications to fluid flow, Springer, 2010
  • R. Ghanem and P. Spanos: Stochastic Finite-Elements: A spectral approach, Dover, 2013
  • T. J. Sullivan: Introduction to Uncertainty Quantification, Springer, New York, 2015
  • David J. C. MacKay: Information theory, inference, and learning algorithms.